Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0333
Annualized Std Dev 0.4191
Annualized Sharpe (Rf=0%) -0.0795

Row

Daily Return Statistics

Close
Observations 3709.0000
NAs 1.0000
Minimum -0.3687
Quartile 1 -0.0129
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean -0.0001
Quartile 3 0.0134
Maximum 0.2192
SE Mean 0.0004
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0011
Variance 0.0007
Stdev 0.0264
Skewness -0.4711
Kurtosis 16.4860

Downside Risk

Close
Semi Deviation 0.0189
Gain Deviation 0.0187
Loss Deviation 0.0198
Downside Deviation (MAR=210%) 0.0233
Downside Deviation (Rf=0%) 0.0188
Downside Deviation (0%) 0.0188
Maximum Drawdown 0.9096
Historical VaR (95%) -0.0377
Historical ES (95%) -0.0598
Modified VaR (95%) -0.0378
Modified ES (95%) -0.0472
From Trough To Depth Length To Trough Recovery
2014-06-24 2020-03-23 NA -0.9096 1698 1447 NA
2008-06-24 2008-11-20 2013-10-17 -0.6776 1340 106 1234
2006-08-10 2006-10-03 2006-11-29 -0.1738 78 38 40
2007-11-07 2008-01-23 2008-02-20 -0.1539 71 52 19
2007-06-19 2007-08-28 2007-10-09 -0.1517 79 50 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 1.3 1.5 1.2 0 -1.8 0.4 -1.2 1.3
2007 0.4 0.2 -0.6 0.6 1.1 0.6 0.5 1.5 1.4 -2.2 0.2 -1.1 2.7
2008 2.2 -2.3 1.3 -1.7 2.8 1.1 1 -0.8 -3.2 1.4 -11.7 1.5 -9
2009 -1.6 -1.8 3.7 4.7 5.9 0 1 -2 -4 -5.1 1.8 -1 0.9
2010 4.3 1.5 2.8 -0.1 -3.8 -1.2 -0.4 3.4 1.1 1.4 2.4 0.2 12
2011 1 -2.9 0.5 1.9 -3.3 1.5 0.3 -1.5 -4 -3.5 -0.6 0 -10.2
2012 0 1.7 0.5 1.1 -5.1 4 0.2 1.3 0.9 1.1 -0.5 2.8 8
2013 1 -0.1 -1.1 -2.2 -2.1 0.8 2.8 -0.6 2 -0.6 -0.4 1 0.3
2014 -0.7 0.8 0.6 -1.1 -1 -0.2 -2 1.3 -2.9 2.9 -1.9 -0.2 -4.6
2015 2.2 -1.4 -2.9 -0.6 -0.7 -3.2 -2.3 -5.3 1.4 1.3 0.8 2.4 -8.3
2016 -3.4 2.4 -1.7 -0.4 1.1 1.7 -4.4 -0.4 1.9 0.3 0.3 -0.6 -3.2
2017 -0.7 2.7 1.4 -0.2 1.4 0.7 -0.7 1.5 -0.3 3 2 -1.2 9.7
2018 0.5 1 2.8 -0.5 -0.2 0.3 -1.6 -0.7 1 2 -1.4 0.6 3.9
2019 0.5 2.1 1.4 -3.2 -2.1 -0.2 -6.2 -1.8 -3.6 3.5 -2.4 1.5 -10.5
2020 -2.4 3.7 -5.7 -8 2.9 -2.9 -0.1 -0.3 -3.3 -0.2 -0.5 -1.4 -17.2
2021 2 2.8 2.6 NA NA NA NA NA NA NA NA NA 7.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-22  138. SPY    124. -4.40e-3  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
2 2006-06-23  146. SPY    124. -2.00e-4  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
3 2006-06-27  148. SPY    124. -8.60e-3  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
4 2006-06-28  150. SPY    125.  6.80e-3  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
5 2006-06-29  154. SPY    127.  2.02e-2   0.0226  -0.0019  -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344    0.031 
6 2006-06-30  156. SPY    127. -3.00e-4   0.0224  -0.0117  -0.02     0.0675    0.291   0.0453 GLD    61.2  0.0287    0.0559
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart